Gap long report

Rows: 138293, Dates: 3154, Direction: long

Table of Contents

Performance summary

AVWAP retrace rate: 5d: 71.38% | 10d: 77.92%

21 EMA retrace rate: 5d: 50.55%  |  10d: 59.85%

Gap closure rate: 5d: 66.72%  |  10d: 73.99%

Gap Retrace Within 5 Days

Year Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2013 3110 72.03 5.35 65.56 1.90 54.24 1.19
2014 4647 73.42 5.92 68.78 2.20 54.79 1.21
2015 7154 76.21 6.27 68.83 2.21 49.94 1.00
2016 8057 71.73 5.01 65.32 1.88 48.21 0.93
2017 4219 73.69 6.03 68.38 2.16 58.38 1.40
2018 8250 72.18 5.49 69.55 2.28 46.93 0.88
2019 5838 71.03 5.18 64.25 1.80 55.40 1.24
2020 33256 67.92 4.29 62.11 1.64 48.48 0.94
2021 14790 76.65 6.84 73.50 2.77 56.27 1.29
2022 23020 69.44 3.73 67.55 2.08 50.51 1.02
2023 9298 71.51 4.99 65.34 1.88 49.48 0.98
2024 8050 65.42 3.40 58.42 1.41 48.26 0.93
2025 8604 79.07 7.05 76.85 3.32 47.54 0.91

Gap Retrace Within 10 Days

Year Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2013 3110 77.27 6.99 71.51 2.51 63.09 1.71
2014 4647 79.90 8.28 76.09 3.18 64.64 1.83
2015 7154 81.03 8.17 74.67 2.95 58.50 1.41
2016 8057 79.67 7.39 75.02 3.00 60.52 1.53
2017 4219 79.59 8.26 74.52 2.92 66.13 1.95
2018 8250 78.93 7.80 75.84 3.14 61.66 1.61
2019 5838 76.69 6.65 70.50 2.39 63.33 1.73
2020 33256 74.15 5.47 69.23 2.25 56.37 1.29
2021 14790 82.65 9.71 79.99 4.00 67.00 2.03
2022 23020 77.75 5.75 76.22 3.21 59.40 1.46
2023 9298 77.37 6.53 71.97 2.57 59.04 1.44
2024 8050 73.34 4.98 68.55 2.18 58.19 1.39
2025 8604 83.67 9.37 81.90 4.53 54.18 1.18

Performance by gap size

5-day performance by gap size

Gap Size Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2-3% 53212 73.19 5.06 77.42 3.43 55.68 1.26
3-4% 31055 73.46 5.11 71.31 2.49 55.09 1.23
4-5% 17951 74.05 5.58 66.40 1.98 53.52 1.15
5-6% 10635 73.49 5.64 62.07 1.64 49.27 0.97
6-7% 6915 71.12 5.36 55.13 1.23 42.18 0.73
7-8% 4851 66.36 4.38 47.60 0.91 37.13 0.59
8-9% 3246 65.80 4.31 44.15 0.79 35.24 0.54
9-10% 2344 63.87 3.98 40.10 0.67 34.47 0.53
10-12% 2716 60.13 3.56 33.69 0.51 27.21 0.37
12-15% 2165 54.92 2.98 26.14 0.35 23.46 0.31
15-20% 1417 50.46 2.39 19.97 0.25 16.94 0.20
20%+ 1786 30.46 0.86 7.95 0.09 9.18 0.10

10-day performance by gap size

Gap Size Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2-3% 53212 79.62 7.07 83.11 4.92 65.09 1.86
3-4% 31055 79.39 6.94 78.29 3.61 64.26 1.80
4-5% 17951 80.27 7.77 74.77 2.96 63.08 1.71
5-6% 10635 79.37 7.71 70.80 2.43 59.54 1.47
6-7% 6915 77.38 7.40 64.25 1.80 52.19 1.09
7-8% 4851 73.26 6.06 56.85 1.32 46.22 0.86
8-9% 3246 72.61 5.92 53.73 1.16 44.92 0.82
9-10% 2344 72.78 5.75 50.34 1.01 42.41 0.74
10-12% 2716 71.83 5.31 45.88 0.85 36.12 0.57
12-15% 2165 67.67 4.39 39.21 0.65 31.50 0.46
15-20% 1417 60.06 3.33 28.72 0.40 24.21 0.32
20%+ 1786 36.23 1.04 11.31 0.13 11.65 0.13

Monthly win rates

Monthly win rate (5d vs 10d)

Gap size distribution

Retracement rate by gap bucket (10d)

Win rate vs gap size

Win rate vs distance to AVWAP

Win rate: above vs below 21-EMA

Win rate: above vs below 50-EMA

Win rate: above vs below 100-EMA

Win rate: above vs below 200-EMA

Win rate: above vs below Current Quarter AVWAP

Win rate: above vs below 2Q Ago AVWAP

Win rate: above vs below 3Q Ago AVWAP

Win rate: above vs below 1Y Ago AVWAP

Win rate: above vs below 330-SMA

Win rate by distance to 330-SMA

Win rate vs SPY daily change

Expected P&L (10k/trade) — Equity Curve

Total expected P&L 5d: $37,506,946  |  10d: $42,099,702

Gap size vs 10d retrace %

Days to AVWAP retracement clustering

SPY vs 10d retrace rate (by day)

Top 20 by 10d MFE%

ticker date gap_up_percent mfe_percent_10d mae_percent_10d retrace_percentage_10d
HKD 2022-07-20 11.54 12244.44 11.64 119539.43
SR 2015-02-27 97.78 6265.38 -4753.85 305.36
HKD 2022-07-26 5.02 4437.92 12.84 36849.36
SR 2015-02-13 97.62 4080.00 24.00 702.16
HKD 2022-07-22 3.00 3657.79 44.78 15369.27
HKD 2022-07-27 8.93 3231.99 9.30 50330.26
RGC 2025-04-28 3.21 1444.58 11.74 10341.15
HKD 2022-07-28 7.38 1319.61 19.44 10544.57
NRGD 2022-11-30 3.32 1289.79 3.36 32153.66
CBIO 2015-08-24 89.19 1239.58 -726.04 2251.35
WTW 2019-04-11 8.52 1176.73 4.71 35557.56
GME 2021-01-20 5.06 1134.66 5.42 17104.26
TOPS 2017-06-22 10.00 781.25 -62.50 25039.37
JNUG 2015-09-30 3.89 710.51 -357.45 13201.17
JNUG 2015-09-28 7.81 682.10 3.78 22876.13
SQQQ 2022-01-11 79.79 647.74 3.42 286.19
SRTY 2022-01-11 80.07 624.47 2.36 244.87
HUDI 2022-10-26 6.39 608.34 72.20 2787.14
RSLS 2018-08-08 79.09 601.52 24.24 1506.74
TOPS 2017-06-20 5.00 571.43 23.81 10674.42